Umut Cetin, Ph.D.
Affiliations: | 2003 | Cornell University, Ithaca, NY, United States |
Area:
Mathematics, Operations ResearchGoogle:
"Umut Cetin"Parents
Sign in to add mentor| Robert A. Jarrow | grad student | 2003 | Cornell | |
| (Default risk and liquidity risk modeling.) | ||||
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Publications
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| Çetin U. (2018) Diffusion transformations, Black–Scholes equation and optimal stopping Annals of Applied Probability. 28: 3102-3151 |
| Çetin U. (2018) Financial equilibrium with asymmetric information and random horizon Finance and Stochastics. 22: 97-126 |
| Çetin U. (2017) Path Transformations for Local Times of One-Dimensional Diffusions Stochastic Processes and Their Applications. 128: 3439-3465 |
| Çetin U, Danilova A. (2016) Markovian Nash equilibrium in financial markets with asymmetric information and related forward–backward systems Annals of Applied Probability. 26: 1996-2029 |
| Çetin U, Danilova A. (2016) Markov bridges: SDE representation Stochastic Processes and Their Applications. 126: 651-679 |
| Çetin U. (2015) On certain integral functionals of squared Bessel processes Stochastics An International Journal of Probability and Stochastic Processes. 87: 1033-1060 |
| Cetin U, Bingol HO. (2014) Attention competition with advertisement Physical Review E - Statistical, Nonlinear, and Soft Matter Physics. 90 |
| Çetin U, Sheynzon I. (2014) A simple model for market booms and crashes Mathematics and Financial Economics. 8: 291-319 |
| Çetin U, Xing H. (2013) Point process bridges and weak convergence of insider trading models Electronic Journal of Probability. 18 |
| Campi L, Cetin U, Danilova A. (2013) Explicit construction of a dynamic Bessel bridge of dimension 3 Electronic Journal of Probability. 18: 1-25 |